Time series and forecasting in R

Time series and forecasting in R

Outline Time series and forecasting in R

Rob J Hyndman
4 1

Time series objects Basic time series functionality The forecast package Exponential smoothing ARIMA modelling More from the forecast package Time series packages on CRAN

29 June 2008

Time series and forecasting in R

Time series objects

Time series and forecasting in R

Time series objects

Australian GDP
ausgdp <- ts(scan("gdp.dat"),frequency=4, start=1971+2/4) Class: ts Print and plotting methods available. > ausgdp Qtr1 Qtr2 Qtr3 Qtr4 1971 4612 4651 1972 4645 4615 4645 4722 1973 4780 4830 4887 4933 1974 4921 4875 4867 4905 1975 4938 4934 4942 4979 1976 5028 5079 5112 5127 1977 5130 5101 5072 5069 1978 5100 5166 5244 5312 1979 5349 5370 5388 5396 1980 5388 5403 5442 5482
Time series and forecasting in R Time series objects 6

Australian GDP
7500 ausgdp 4500 5000 5500 6000 6500 7000

> plot(ausgdp)

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Time series and forecasting in R

Time series objects

Australian beer production

Australian beer production

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> beer Jan 1991 164 1992 147 1993 139 1994 151 1995 138

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May 155 129 137 131 151

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beer

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> plot(beer)
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Time series and forecasting in R

Basic time series functionality

Time series and forecasting in R

Basic time series functionality

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Lag plots
> lag.plot(beer,lags=12)
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Lag plots
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beer

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lag 12

> lag.plot(beer,lags=12,do.lines=FALSE)
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lag.plot(x, lags = 1, layout = NULL, set.lags = 1:lags, main = NULL, asp = 1, diag = TRUE, diag.col = "gray", type = "p", oma = NULL, ask = NULL, do.lines = (n <= 150), labels = do.lines, ...)

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Basic time series functionality

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Time series and forecasting in R

Basic time series functionality

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ACF
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> acf(beer)

> pacf(beer)

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Time series and forecasting in R

Basic time series functionality

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Time series and forecasting in R

Basic time series functionality

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ACF/PACF
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Spectrum
Raw periodogram

> spectrum(beer)

ARMAacf(ar = numeric(0), ma = numeric(0), lag.max = r, pacf = FALSE)

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pacf(x, lag.max, plot, na.action, ...)

spectrum

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acf(x, lag.max = NULL, type = c("correlation", "covariance", "partial"), plot = TRUE, na.action = na.fail, demean = TRUE, ...)

3 frequency

Time series and forecasting in R

Basic time series functionality

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Time series and forecasting in R

Basic time series functionality

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Spectrum
AR(12) spectrum
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Spectrum
> spectrum(beer,method="ar")

spectrum(x, ..., method = c("pgram", "ar")) spec.pgram(x, spans = NULL, kernel, taper = 0.1, pad = 0, fast = TRUE, demean = FALSE, detrend = TRUE, plot = TRUE, na.action = na.fail, ...) spec.ar(x, n.freq, order = NULL, plot = TRUE, na.action = na.fail, method = "yule-walker", ...)
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spectrum

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Basic time series functionality

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Time series and forecasting in R

Basic time series functionality

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Classical decomposition
decompose(beer) Decomposition of additive time series
observed
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STL decomposition
plot(stl(beer,s.window="periodic"))
data seasonal
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random

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Basic time series functionality

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Time series and forecasting in R

The forecast package

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Decomposition
decompose(x, type = c("additive", "multiplicative"), filter = NULL) stl(x, s.window, s.degree = 0, t.window = NULL, t.degree = 1, l.window = nextodd(period), l.degree = t.degree, s.jump = ceiling(s.window/10), t.jump = ceiling(t.window/10), l.jump = ceiling(l.window/10), robust = FALSE, inner = if(robust) 1 else 2, outer = if(robust) 15 else 0, na.action = na.fail)

forecast package
> forecast(beer) Point Forecast Sep 1995 138.5042 Oct 1995 169.1987 Nov 1995 181.6725 Dec 1995 178.5394 Jan 1996 144.0816 Feb 1996 135.7967 Mar 1996 151.4813 Apr 1996 138.9345 May 1996 138.5279 Jun 1996 127.0269 Jul 1996 134.9452 Aug 1996 145.3088 Sep 1996 139.7348 Oct 1996 170.6709 Nov 1996 183.2204 Dec 1996 180.0290 Jan 1997 145.2589 Feb 1997 136.8833 Mar 1997 152.6684 Apr 1997 140.0008 May 1997 139.5691 Time series and forecasting in R Jun 1997 127.9620 Jul 1997 135.9181 Aug 1997 146.3349 Lo 80 128.2452 156.6506 168.1640 165.2049 133.2492 125.4937 139.8517 128.1106 127.5448 116.7486 123.7716 132.9658 127.4679 155.2397 166.1298 162.6798 130.7803 122.7595 136.3514 124.4953 123.5476 112.7364 119.1567 127.6354 Hi 80 148.7632 181.7468 195.1810 191.8738 154.9140 146.0996 163.1110 149.7584 149.5110 137.3052 146.1187 157.6518 152.0018 186.1020 200.3110 197.3783 159.7374 151.0071 168.9854 155.5064 155.5906 143.1876 152.6795 165.0344 Lo 95 122.8145 150.0081 161.0131 158.1461 127.5148 120.0396 133.6953 122.3808 121.7307 111.3076 117.8567 126.4318 120.9741 147.0709 157.0826 153.4957 123.1159 115.2828 127.7137 116.2871 115.0663 104.6764 110.2837 117.7365 Hi 95 154.1940 188.3894 202.3320 198.9327 160.6483 151.5537 169.2673 155.4882 155.3250 142.7462 152.0337 164.1858 158.4955 194.2708 209.3582 206.5624 167.4019 158.4838 177.6231 163.7145 164.0719 The forecast package 151.2476 161.5525 174.9332

Time series and forecasting in R

The forecast package

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forecast package
Forecasts from ETS(M,Ad,M)
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forecast package
> summary(forecast(beer)) Forecast method: ETS(M,Ad,M) Smoothing alpha = beta = gamma = phi = parameters: 0.0267 0.0232 0.025 0.98

> plot(forecast(beer))

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Initial states: l = 162.5752 b = -0.1598 s = 1.1979 1.2246 1.1452 0.9354 0.9754 0.9068 0.8523 0.9296 0.9342 1.0160 0.9131 0.9696
1991 1992 1993 1994 1995 1996 1997

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sigma:

0.0578

AIC AICc BIC 499.0295 515.1347 533.4604 In-sample error measures: ME RMSE MAE MPE 0.07741197 8.41555052 7.03312900 -0.29149125

Time series and forecasting in R

The forecast package

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Time series and forecasting in R

MAPE MASE Exponential smoothing 26 4.78826138 0.43512047

forecast package
Automatic exponential smoothing state space modelling. Automatic ARIMA modelling Forecasting intermittent demand data using Crostons method Forecasting using Theta method Forecasting methods for most time series modelling functions including arima(), ar(), StructTS(), ets(), and others. Part of the forecasting bundle along with fma, expsmooth and Mcomp.

Exponential smoothing
Classic Reference Makridakis, Wheelwright and Hyndman (1998) Forecasting: methods and applications, 3rd ed., Wiley: NY. Current Reference Hyndman, Koehler, Ord and Snyder (2008) Forecasting with Forecasting with Exponential exponential smoothing: the state Smoothing space approach, Springer-Verlag: Berlin.
Springer Series in Statistics
Hyndman Koehler Ord Snyder

Springer Series in Statistics

Rob J. Hyndman Anne B. Koehler J. Keith Ord Ralph D. Snyder

Forecasting with Exponential Smoothing

Rob J. Hyndman Anne B. Koehler J. Keith Ord Ralph D. Snyder

Exponential smoothing methods have been around since the 1950s, and are the most popular forecasting methods used in business and industry. Recently, exponential smoothing has been revolutionized with the introduction of a complete modeling framework incorporating inno-vations state space models, likelihood calculation, prediction intervals and procedures for model selection. In this book, all of the important results for this framework are brought together in a coherent manner with consistent notation. In addition, many new results and extensions are introduced and several application areas are examined in detail. Rob J. Hyndman is a Professor of Statistics and Director of the Business and Economic Forecasting Unit at Monash University, Australia. He is Editor-in-Chief of the International Journal of Forecasting, author of over 100 research papers in statistical science, and received the 2007 Moran medal from the Australian Academy of Science for his contributions to statistical research. Anne B. Koehler is a Professor of Decision Sciences and the Panuska Professor of Business Administration at Miami University, Ohio. She has numerous publications, many of which are on forecasting models for seasonal time series and exponential smoothing methods. J. Keith Ord is a Professor in the McDonough School of Business, Georgetown University, Washington DC. He has authored over 100 research papers in statistics and forecasting, and is a co-author of Kendall's Advanced Theory of Statistics. Ralph D. Snyder is an Associate Professor in the Department of Econometrics and Business Statistics at Monash University, Australia. He has extensive publications on business forecasting and inventory management. He has played a leading role in the establishment of the class of innovations state space models for exponential smoothing.

Forecasting with Exponential Smoothing

The State Space Approach

ISBN 9-783-540-71916-8

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Time series and forecasting in R

Exponential smoothing

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Time series and forecasting in R

Exponential smoothing

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Exponential smoothing
Until recently, there has been no stochastic modelling framework incorporating likelihood calculation, prediction intervals, etc. Ord, Koehler & Snyder (JASA, 1997) and Hyndman, Koehler, Snyder and Grose (IJF, 2002) showed that all ES methods (including non-linear methods) are optimal forecasts from innovation state space models. Hyndman et al. (2008) provides a comprehensive and up-to-date survey of the area. The forecast package implements the framework of HKSO.

Exponential smoothing
Trend Component N A Ad M Md (None) (Additive) (Additive damped) (Multiplicative) (Multiplicative damped) N (None) N,N A,N Ad ,N M,N Md ,N Seasonal Component A M (Additive) (Multiplicative) N,A A,A Ad ,A M,A Md ,A N,M A,M Ad ,M M,M Md ,M

General notation ETS(Error,Trend,Seasonal) ExponenTial Smoothing ETS(A,N,N): ETS(A,A,N): ETS(A,A,A): Simple exponential smoothing with additive errors Holts linear method with additive errors Additive Holt-Winters method with

Time series and forecasting in R

Exponential smoothing

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Time series and forecasting in R

Exponential smoothing

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Innovations state space models

No trend or seasonality and multiplicative errors Example: ETS(M,N,N) yt = t 1 (1 + t ) t = yt + (1 ) = t 1 (1 + t )
t 1

Innovation state space models

Let xt = ( t , bt , st , st 1 , . . . , st m+1 ) and t N(0, 2 ). Example: Holt-Winters multiplicative seasonal method Example: ETS(M,A,M) Yt = ( t 1 + bt 1 )st m (1 + t ) t = (yt /st m ) + (1 )( t 1 + bt 1 ) bt = ( t t 1 ) + (1 )bt 1 st = (yt /( t 1 + bt 1 )) + (1 )st m where 0 1, 0 , 0 1 and m is the period of seasonality.
iid

01 t is white noise with mean zero. All exponential smoothing models can be written using analogous state space equations.

Time series and forecasting in R

Exponential smoothing

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Time series and forecasting in R

Exponential smoothing

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Exponential smoothing
From Hyndman et al. (2008): Apply each of 30 methods that are appropriate to the data. Optimize parameters and initial values using MLE (or some other criterion). Select best method using AIC: AIC = 2 log(Likelihood) + 2p where p = # parameters. Produce forecasts using best method. Obtain prediction intervals using underlying state space model. Method performed very well in M3 competition.

Exponential smoothing
fit <- ets(beer) fit2 <- ets(beer,model="MNM",damped=FALSE) fcast1 <- forecast(fit, h=24) fcast2 <- forecast(fit2, h=24)
ets(y, model="ZZZ", damped=NULL, alpha=NULL, beta=NULL, gamma=NULL, phi=NULL, additive.only=FALSE, lower=c(rep(0.01,3), 0.8), upper=c(rep(0.99,3),0.98), opt.crit=c("lik","amse","mse","sigma"), nmse=3, bounds=c("both","usual","admissible"), ic=c("aic","aicc","bic"), restrict=TRUE)

Time series and forecasting in R

Exponential smoothing

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Time series and forecasting in R

Exponential smoothing

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Exponential smoothing
> fit ETS(M,Ad,M) Smoothing alpha = beta = gamma = phi = parameters: 0.0267 0.0232 0.025 0.98

Exponential smoothing
> fit2 ETS(M,N,M) Smoothing parameters: alpha = 0.247 gamma = 0.01 Initial states: l = 168.1208 s = 1.2417 1.2148 1.1388 0.9217 0.9667 0.8934 0.8506 0.9182 0.9262 1.049 0.9047 0.9743 sigma: 0.0604

Initial states: l = 162.5752 b = -0.1598 s = 1.1979 1.2246 1.1452 0.9354 0.9754 0.9068 0.8523 0.9296 0.9342 1.016 0.9131 0.9696 sigma: 0.0578

AIC AICc BIC 500.0439 510.2878 528.3988

AIC AICc BIC 499.0295 515.1347 533.4604

Time series and forecasting in R

Exponential smoothing

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Time series and forecasting in R

Exponential smoothing

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Exponential smoothing
ets() function Automatically chooses a model by default using the AIC Can handle any combination of trend, seasonality and damping Produces prediction intervals for every model Ensures the parameters are admissible (equivalent to invertible) Produces an object of class ets.

Exponential smoothing
ets objects Methods: coef(), plot(), summary(), residuals(), fitted(), simulate() and forecast() plot() function shows time plots of the original time series along with the extracted components (level, growth and seasonal).

Time series and forecasting in R

Exponential smoothing

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Time series and forecasting in R

Exponential smoothing

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Exponential smoothing
plot(fit) Decomposition by ETS(M,Ad,M) method
observed

Goodness-of-t

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level

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> accuracy(fit) ME RMSE 0.0774 8.4156

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MAE MPE 7.0331 -0.2915

MAPE 4.7883

MASE 0.4351

slope

> accuracy(fit2) ME RMSE MAE MPE -1.3884 9.0015 7.3303 -1.1945

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MAPE 5.0237

MASE 0.4535

season

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Time series and forecasting in R

Exponential smoothing

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Time series and forecasting in R

Exponential smoothing

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Forecast intervals
Forecasts from ETS(M,Ad,M)
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Exponential smoothing
ets() function also allows retting model to new data set.
> usfit <- ets(usnetelec[1:45]) > test <- ets(usnetelec[46:55], model = usfit) > accuracy(test) ME RMSE MAE MPE -4.3057 58.1668 43.5241 -0.1023

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MAPE 1.1758

MASE 0.5206

> plot(forecast(fit,level=c(50,80,95)))
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> accuracy(forecast(usfit,10), usnetelec[46:55]) ME RMSE MAE MPE MAPE MASE ACF1 Theils U 46.36580 65.55163 49.83883 1.25087 1.35781 0.72895 0.08899 0.73725

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Exponential smoothing

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Exponential smoothing

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forecast package
forecast() function Takes either a time series as its main argument, or a time series model. > Methods plot(forecast(fit,fan=TRUE)) for objects of class ts, ets, 1991 1992 1993 1994 1995 1996 1997 arima, HoltWinters, StructTS, ar and others. If argument is ts, it uses ets model. Calls predict() when appropriate. Output as class forecast.

forecast package
forecast class contains Original series Point forecasts Prediction intervals Forecasting method used Forecasting model information Residuals One-step forecasts for observed data Methods applying to the forecast class: print plot summary

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ARIMA modelling

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Time series and forecasting in R

ARIMA modelling

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ARIMA modelling
The arima() function in the stats package provides seasonal and non-seasonal ARIMA model estimation including covariates. However, it does not allow a constant unless the model is stationary It does not return everything required for forecast() It does not allow re-tting a model to new data. So I prefer the Arima() function in the forecast package which acts as a wrapper to arima(). Even better, the auto.arima() function in the forecast package.

ARIMA modelling
> fit <- auto.arima(beer) > fit Series: beer ARIMA(0,0,0)(1,0,0)[12] with non-zero mean Coefficients: sar1 intercept 0.8431 152.1132 s.e. 0.0590 5.1921 sigma^2 estimated as 122.1: log likelihood = -221.44 AIC = 448.88 AICc = 449.34 BIC = 454.95

Time series and forecasting in R

ARIMA modelling

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Time series and forecasting in R

ARIMA modelling

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How does auto.arima() work?

A seasonal ARIMA process (B m )(B )(1 B m )D (1 B )d yt = c + (B m )(B )t Need to select appropriate orders: p , q , P , Q , D , d Use Hyndman and Khandakar (JSS, 2008) algorithm: Select no. dierences d and D via unit root tests. Select p , q , P , Q by minimising AIC. Use stepwise search to traverse model space.

How does auto.arima() work?

AIC = 2 log(L) + 2(p + q + P + Q + k ) where L is the maximised likelihood tted to the dierenced data, k = 1 if c = 0 and k = 0 otherwise. Step 1: Select current model (with smallest AIC) from: ARIMA(2, d , 2)(1, D , 1)m ARIMA(0, d , 0)(0, D , 0)m ARIMA(1, d , 0)(1, D , 0)m if seasonal ARIMA(0, d , 1)(0, D , 1)m Step 2: Consider variations of current model: vary one of p , q , P , Q from current model by 1 p , q both vary from current model by 1. P , Q both vary from current model by 1. Include/exclude c from current model Model with lowest AIC becomes current model. Repeat Step 2 until no lower AIC can be found.

Time series and forecasting in R

ARIMA modelling

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ARIMA modelling

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ARIMA modelling
Forecasts from ARIMA(0,0,0)(1,0,0)[12] with nonzero mean
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ARIMA vs ETS
Myth that ARIMA models more general than exponential smoothing. Linear exponential smoothing models all special cases of ARIMA models. Non-linear exponential smoothing models have no equivalent ARIMA counterparts. Many ARIMA models which have no exponential smoothing counterparts. ETS models all non-stationary. Models with seasonality or non-damped trend (or both) have two unit roots; all other modelsthat is, non-seasonal models with either no trend or damped trendhave one unit root.

> plot(forecast(fit))

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> plot(forecast(beer))
More from the forecast package 51 Time series and forecasting in R More from the forecast package 52

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Other forecasting functions

croston() implements Crostons (1972) method for intermittent demand forecasting. theta() provides forecasts from the Theta method. splinef() gives cubic-spline forecasts, based on 1991 1992 1995 1996 1997 tting1993 a cubic1994 spline to the historical data and extrapolating it linearly. meanf() returns forecasts based on the historical mean. rwf() gives na ve forecasts equal to the most recent observation assuming a random walk model.

Other plotting functions

tsdisplay() provides a time plot along with an ACF and PACF. seasonplot() produces a seasonal plot.

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More from the forecast package

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Time series and forecasting in R

More from the forecast package

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tsdisplay
> tsdisplay(beer)
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seasonplot
> seasonplot(beer)
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Time series packages on CRAN

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Time series packages on CRAN

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Basic facilities

Forecasting and univariate modelling

forecast Lots of univariate time series methods including automatic ARIMA modelling, exponential smoothing via state space models, and the forecast class for consistent handling of time series forecasts. Part of the forecasting bundle. tseries GARCH models and unit root tests. FitAR Subset AR model tting partsm Periodic autoregressive time series models pear Periodic autoregressive time series models

stats Contains substantial time series capabilities including the ts class for regularly spaced time series. Also ARIMA modelling, structural models, time series plots, acf and pacf graphs, classical decomposition and STL decomposition.

Time series and forecasting in R

Time series packages on CRAN

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Time series and forecasting in R

Time series packages on CRAN

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Forecasting and univariate modelling

Methods for linear time series analysis Bayesian analysis of Dynamic Linear Models. Time series analysis and control ARMA Modelling ARCH/GARCH modelling Bias-corrected forecasting and bootstrap prediction intervals for autoregressive time series gsarima Generalized SARIMA time series simulation bayesGARCH Bayesian Estimation of the GARCH(1,1) Model with t innovations ltsa dlm timsac fArma fGarch BootPR

Resampling and simulation

boot Bootstrapping, including the block bootstrap with several variants. meboot Maximum Entropy Bootstrap for Time Series

Time series and forecasting in R

Time series packages on CRAN

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Time series and forecasting in R

Time series packages on CRAN

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Decomposition and ltering

roblter Robust time series lters mFilter Miscellaneous time series lters useful for smoothing and extracting trend and cyclical components. ArDec Autoregressive decomposition wmtsa Wavelet methods for time series analysis based on Percival and Walden (2000) wavelets Computing wavelet lters, wavelet transforms and multiresolution analyses signalextraction Real-time signal extraction (direct lter approach) bspec Bayesian inference on the discrete power spectrum of time series

Unit roots and cointegration

tseries Unit root tests and methods for computational nance. urca Unit root and cointegration tests uroot Unit root tests including methods for seasonal time series

Time series and forecasting in R

Time series packages on CRAN

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Time series and forecasting in R

Time series packages on CRAN

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Nonlinear time series analysis

nlts R functions for (non)linear time series analysis tseriesChaos Nonlinear time series analysis RTisean Algorithms for time series analysis from nonlinear dynamical systems theory. tsDyn Time series analysis based on dynamical systems theory BAYSTAR Bayesian analysis of threshold autoregressive models fNonlinear Nonlinear and Chaotic Time Series Modelling bentcableAR Bent-Cable autoregression

Dynamic regression models

dynlm Dynamic linear models and time series regression dyn Time series regression tpr Regression models with time-varying coecients.

Time series and forecasting in R

Time series packages on CRAN

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Time series and forecasting in R

Time series packages on CRAN

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Multivariate time series models

mAr Multivariate AutoRegressive analysis vars VAR and VEC models MSBVAR Markov-Switching Bayesian Vector Autoregression Models tsfa Time series factor analysis dse Dynamic system equations including multivariate ARMA and state space models. brainwaver Wavelet analysis of multivariate time series

Functional data

far Modelling Functional AutoRegressive processes

Time series and forecasting in R

Time series packages on CRAN

66

Time series and forecasting in R

Time series packages on CRAN

67

Continuous time data

Irregular time series

zoo Infrastructure for both regularly and irregularly spaced time series. its Another implementation of irregular time series. fCalendar Chronological and Calendarical Objects fSeries Financial Time Series Objects xts Provides for uniform handling of Rs dierent time-based data classes

cts Continuous time autoregressive models sde Simulation and inference for stochastic dierential equations.

Time series and forecasting in R

Time series packages on CRAN

68

Time series and forecasting in R

Time series packages on CRAN

69

Time series data

fma Data from Makridakis, Wheelwright and Hyndman (1998) Forecasting: methods and applications. Part of the forecasting bundle. expsmooth Data from Hyndman, Koehler, Ord and Snyder (2008) Forecasting with exponential smoothing. Part of the forecasting bundle. Mcomp Data from the M-competition and M3-competition. Part of the forecasting bundle. FinTS R companion to Tsay (2005) Analysis of nancial time series containing data sets, functions and script les required to work some of the examples. TSA R functions and datasets from Cryer and Chan (2008) Time series analysis with applications in R TSdbi Common interface to time series databases fame Interface for FAME time series databases fEcon Econ - Economic and Financial Data Sets

Miscellaneous
hydrosanity Graphical user interface for exploring hydrological time series pastecs Regulation, decomposition and analysis of space-time series. RSEIS Seismic time series analysis tools paleoTS Modeling evolution in paleontological time-series GeneTS Microarray Time Series and Network Analysis fractal Fractal Time Series Modeling and Analysis